Wasn't there a golden rule to not store persistent data in a container?

You shouldn't store persistent data in the container. However, you can mount external storage and read/write to it from inside the container. The most simple example of this is mapping a path from the host.

EDIT:

In fact, the MS documentation gives an example of exactly this. https://docs.microsoft.com/en-us/sql/linux/sql-server-linux-...

sudo docker run –e 'ACCEPT_EULA=Y' –e 'SA_PASSWORD=<YourStrong!Passw0rd>' -p 1433:1433 -v <host directory>:/var/opt/mssql -d microsoft/mssql-server-linux